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SOFR discounting

Posted: November 30th, 2018, 12:59 pm
by kfcnhl
Feels like a silly question:

The LCH cleared swaps market is discounted by OIS curve based on daily FF.
This is because of the collateral can be invested at the FF rate.
Why wouldn't it be discounted at SOFR(assuming such curve exist)?
Isn't it closer to the risk free rate?

Many Thanks,
Fish

Re: SOFR discounting

Posted: February 21st, 2019, 2:14 am
by DavidJN
I recommend you read this:
https://www.newyorkfed.org/medialibrary ... RC-faq.pdf
The ARRC is the  Alternative Reference Rates Committee.

Re: SOFR discounting

Posted: August 4th, 2019, 6:12 pm
by wickedwit
Actually an interesting point if they might switch to sofr discounting although i haven't seen anything about it.

Re: SOFR discounting

Posted: October 7th, 2019, 7:57 am
by RiskUser
LCH are moving to SOFR discounting in 2020:

https://www.risk.net/derivatives/686856 ... ing-switch